USB Keylogger

I've bought a SANDISK U3 MICRO 8GB yesterday and i've been wondering, is it possible that i could install a program, or configure it, that when i put it into a pc it copy's the data onto your usb, for example browsing history, passwords, cookies, keystrokes etc.
Wont be using this against other people, just have been very intrested is it possible?
Thanks hope you guys could help me.

Only way I know how you can get all that is to boot up using the usb disk and the by that you will have full access to the computer. But you want to insert the disk into the PC and then it must copy all over... mm, ok I did a brief reasearch in that and thought that maybe this is what you want?